Schedule
(Updated as of May 20, 2024)
Important notes:
| 1. | For the full workshop booklet (in PDF format), please click here. |
| 2. | This Workshop will be held in face-to-face mode. |
| 3. | Unauthorized recording of any session is prohibited. |
| 4. | Please obtain the consent from the speaker concerned for any adaptation/sharing of his/her presentation materials. |
| Should you have further enquiries, please feel free to contact the secretariat by email at ias2024fbe@ust.hk. | |
May 21, 2024 (Tue)
Time
Event
| 09:00 - 09:20 | Registration | |
| 09:20 - 09:30 |
Opening Remarks |
|
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Session 1 Chair: Xinghua ZHENG (HKUST) |
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| 09:30 - 10:00 |
Talk #01: The Granular Origins of Tail Risk [Abstract] Torben G. ANDERSEN (Northwestern University) |
|
| 10:00 - 10:30 |
Talk #02: Co-jump Networks, Mixed Membership And Beyond [Abstract] Yingying LI (HKUST) |
|
| 10:30 - 11:00 | Group Photo & Coffee Break | |
|
Session 2 Chair: Gavin FENG (City University of Hong Kong) |
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| 11:00 - 11:30 |
Talk #03: Can Machines Learn Weak Signals? [Abstract] Dacheng XIU (University of Chicago) |
|
| 11:30 - 12:00 |
Talk #04: Learning the Stochastic Discount Factor [Abstract] Zhanhui CHEN (HKUST) |
|
| 12:00 - 13:30 | Lunch | |
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Session 3 Chair: Carsten H. CHONG (HKUST) |
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| 13:30 - 14:00 |
Talk #05: High Frequency Returns Sign-Based Robust Inference [Abstract] Jean JACOD (Sorbonne University) |
|
| 14:00 - 14:30 |
Talk #06: A General Test for Functional Inequalities [Abstract] Jia LI (Singapore Management University) |
|
| 14:30 - 15:00 | Coffee Break | |
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Session 4 Chair: Merrick LI (The Chinese University of Hong Kong) |
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| 15:00 - 15:30 |
Talk #07: Testing for An Explosive Bubble Using High-frequency Volatility [Abstract] Jun YU (University of Macau) |
|
| 15:30 - 16:00 |
Talk #08: Non-Linear Time Series Models and Machine Learning [Abstract] Nour MEDDAHI (Toulouse School of Economics) |
|
| 16:15 | Excursion & Dinner | |
May 22, 2024 (Wed)
Time
Event
|
Session 5 Chair: Weichen WANG (The University of Hong Kong) |
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| 09:00 - 09:30 |
Talk #09: Latent Factor Analysis in Short Panels [Abstract] Olivier SCAILLET (University of Geneva and Swiss Finance Institute) |
|
| 09:30 - 10:00 |
Talk #10: High-dimensional Covariance Matrix Estimation under Elliptical Factor Model with 2 + εth Moment [Abstract] Yi DING (University of Macau) |
|
| 10:00 - 10:30 |
Talk #11: Semiparametric Conditional Factor Models: Estimation And Inference [Abstract] Xiaoliang WANG (HKUST) |
|
| 10:30 - 11:00 | Coffee Break | |
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Session 6 Chair: Zhentao SHI (The Chinese University of Hong Kong) |
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| 11:00 - 11:30 |
Talk #12: High Dimensional Conditional Factor Model [Abstract] Liangjun SU (Tsinghua University) |
|
| 11:30 - 12:00 |
Talk #13: Optimal Covariance Matrix Estimation for High-dimensional Noise in High-frequency Data [Abstract] Jinyuan CHANG (Southwestern University of Finance and Economics) |
|
| 12:00 - 13:30 | Lunch | |
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Session 7 Chair: Dachuan CHEN (Nankai University) |
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| 13:30 - 14:00 |
Talk #14: Asymptotic Expansions for High-frequency Option Data [Abstract] Carsten H. CHONG (HKUST) |
|
| 14:00 - 14:30 |
Talk #15: A Characterisation of Cross-impact Kernels [Abstract] Mathieu ROSENBAUM (École Polytechnique) |
|
| 14:30 - 15:00 |
Talk #16: The Fine Structure of Volatility Dynamics [Abstract] Viktor TODOROV (Northwestern University) |
|
| 15:00 - 16:00 | Adjourn | |